【摘要】：隨著程序化交易在上世紀七十年代從美國興起以來，衍生出的量化交易已成為金融市場交易方式的主流方向。在國外，量化交易從八十年代起就得到了充足的發(fā)展。而國內(nèi)，近年來，隨著從華爾街歸來的華人金融工程師的日益增多，量化交易也開始興起，量化交易軟件也被開發(fā)出來。 在這樣的潮流大背景下，本文設(shè)計了一套股指期貨量化交易盈利分析系統(tǒng)，它是金融領(lǐng)域與計算機領(lǐng)域的結(jié)合性產(chǎn)品。通過這個系統(tǒng)，我們可以分析各個指標對于歷史K線數(shù)據(jù)的盈利情況，從而正確地執(zhí)行交易過程。 系統(tǒng)的主要功能如下： 1.界面顯示功能：軟件可以讀取股指期貨的1分鐘K線數(shù)據(jù)，并以圖形界面的形式顯示在屏幕上，同時可以調(diào)節(jié)顯示其它幾個不同周期的均線。 2.可以載入若干系統(tǒng)已加載的指標，可以編輯、另存指標，可以按用戶的思路編寫新的指標。 3.腳本語言支持下單語句，對于一個指標，軟件可以對指定指標及指定參數(shù)生成盈利分析報告；另外，軟件還支持自動化對指標參數(shù)進行優(yōu)化搜索。 接著，利用我們所設(shè)計的軟件對常用的指標進行了搜索分析。從大量的分析圖與分析表中，我們可以看出：如果指標用于較短的時間周期（例如1分鐘級別，或者5分鐘級別），通常盈利能力不夠，甚至于很大一部分還要出現(xiàn)虧損。而對于較長周期的K線（例如30分鐘級別，，或者60分鐘級別）將可能實現(xiàn)盈利，而且在較大周期級別K線實驗上，我們發(fā)現(xiàn)大多數(shù)的參數(shù)都可以取得盈利，這證明在此種情況下，指標的盈利能力比較有保障。 最后，本文對系統(tǒng)的功能和穩(wěn)定性等指標做了總結(jié)，認為在系統(tǒng)穩(wěn)定性和系統(tǒng)功能、指標功能上，還有一些可以繼續(xù)擴充范圍。
[Abstract]:With the emergence of programmed trading from the United States in the 1970s, the derivative quantitative trading has become the mainstream direction of financial market trading. Abroad, quantitative trading has been well developed since the 1980's. In recent years, with the increasing number of Chinese financial engineers returning from Wall Street, quantitative trading has begun to rise and quantitative trading software has been developed. Under the background of this trend, this paper designs a set of quantitative trading profit analysis system for stock index futures, which is a combined product in the field of finance and computer. Through this system, we can analyze the profit of each index to the historical K line data, and carry out the transaction process correctly. The main functions of the system are as follows: 1. Interface display function: the software can read 1 minute K line data of stock index futures and display on screen in the form of graphical interface. Can load a number of system loaded indicators, can edit, save indicators, can be in accordance with the user's thinking to write new indicators. 3. The script language supports the order statement, for a metric, the software can generate the profit analysis report for the specified index and the specified parameter. In addition, the software also supports the automatic optimization search of the index parameter. Then, the commonly used indexes are searched and analyzed by the software we designed. From a large number of analysis charts and tables, we can see that if indicators are used for a short time period (such as 1 minute level, or 5 minutes level), they are usually not profitable enough, and even a large part of them will suffer losses. On the other hand, for longer period K lines (such as 30 minutes, or 60 minutes), it is possible to make a profit, and in the larger cycle level K line experiments, we find that most of the parameters can be profitable. This proves that in this case, the profitability of the indicators are more secure. Finally, this paper summarizes the function and stability of the system, and points out that there are still some indexes which can be extended in terms of system stability, system function and index function.
【學位授予單位】：華南理工大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：TP311.52

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